24/01 Vinita Sharma
HR at Credit Suisse

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Credit Suisse - Credit Risk Quantitative Analyst/AVP - AIRB Quant Group (1-6 yrs)

Mumbai Job Code: 657674


About Credit Suisse :

As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions, and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Further information can be found at www.credit-suisse.com.

Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees to achieve a healthy work-life balance.

Departmental overview Credit Risk Management Credit Analytics is a unit within the CRO Division. We are responsible for developing, maintaining and documenting the models and methodologies used to measure credit risk.

These activities involve frequent interaction with a number of significant stakeholders such as front office, credit risk management, financial accounting as well as auditors and regulators.

Given enhanced regulatory scrutiny of large banks and changing business landscape, our area has seen a substantial increase in the number of credit risk models.

We are therefore looking to build our team to cope with the additional workload and at the same time remain proactive.

Role overview :

The team in Mumbai is part of the global CRM-Credit Analytics team. We cover the following areas:

- Counterparty Credit Risk

- Client Credit Risk

- Monte-Carlo Methodologies

- Issuer Credit Risk

- Trade Analysis

- Scenarios and Stress Testing

In this particular role we offer :

- Opportunity to participate in the development of models for AIRB Parameters (PD, LGD, EADs)

- Researching, developing, prototyping and implementing new modeling, calculation and reporting approach in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the global AIRB team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

Qualifications / Competencies :

- Roles in Credit Analytics are technical and hence even for managerial positions it will require candidates to be highly detail oriented and undertake hands-on tasks

- Experience of PD, LGD, and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

- Strong experience/knowledge in at least some of the following areas (in quant space):

1. AIRB - LGD, PD and CCF Modelling

2. Regulatory framework and rules (e.g. BASEL, CCAR etc.)

3. Credit Portfolio Modelling - Default and Migration Risk

4. Counterparty Credit Risk

- Pricing and valuation - Derivatives (across one or more asset classes)

- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)

- Risk Scenarios and Stress Testing

- Back-Testing and Monte-Carlo Methodologies

- Strong Quant skills and aptitude - We expect candidates to have a good understanding of Probability and Statistics / other quant concepts used in the above areas

- Good technical skills - exposure to one or more of the below programming language/database:

1. Programming and Algorithms: R, VBA / advanced Excel, Matlab etc

2. Database and SQL: MS Access, MySQL, Oracle etc

- Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subjects. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the stress testing framework in depth are welcome to apply as well

- Good Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

- Highly Detail Oriented. This role requires hands-on approach along with management oversight

- Team management experience would be advantageous

PS: Our selection process involves a technical interview to assess the above competencies. It will be advisable to have a pen and paper.

Candidate Value

Proposition Exposure to the latest in credit risk and regulatory requirements across all major global regulators and across various business/geographies

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